| Close | |
|---|---|
| Annualized Return | -0.0106 |
| Annualized Std Dev | 0.1438 |
| Annualized Sharpe (Rf=0%) | -0.0738 |
| Close | |
|---|---|
| Observations | 4650.0000 |
| NAs | 1.0000 |
| Minimum | -0.1858 |
| Quartile 1 | -0.0039 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0040 |
| Maximum | 0.1229 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0091 |
| Skewness | -1.3684 |
| Kurtosis | 56.3129 |
| Close | |
|---|---|
| Semi Deviation | 0.0066 |
| Gain Deviation | 0.0066 |
| Loss Deviation | 0.0076 |
| Downside Deviation (MAR=210%) | 0.0117 |
| Downside Deviation (Rf=0%) | 0.0066 |
| Downside Deviation (0%) | 0.0066 |
| Maximum Drawdown | 0.4479 |
| Historical VaR (95%) | -0.0125 |
| Historical ES (95%) | -0.0206 |
| Modified VaR (95%) | -0.0078 |
| Modified ES (95%) | -0.0078 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2012-07-27 | 2020-03-18 | NA | -0.4479 | 2175 | 1921 | NA |
| 2002-10-04 | 2008-10-10 | 2010-08-23 | -0.4114 | 1984 | 1515 | 469 |
| 2010-09-22 | 2011-01-14 | 2011-12-27 | -0.1613 | 320 | 81 | 239 |
| 2012-03-01 | 2012-03-26 | 2012-06-22 | -0.0971 | 80 | 18 | 62 |
| 2012-02-03 | 2012-02-17 | 2012-02-29 | -0.0371 | 18 | 11 | 7 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 | 0 | 0.1 | -2.1 | -2 |
| 2003 | 0.2 | -0.5 | 0.5 | 0.4 | -0.9 | 0.3 | 1.4 | 0.3 | -0.9 | 0.5 | 0.9 | 0.5 | 2.7 |
| 2004 | 0.1 | -0.1 | 0.3 | 0.2 | -1.3 | 0.6 | 0.7 | -0.2 | 0.5 | 0.2 | -0.7 | 0.4 | 0.7 |
| 2005 | 0.4 | -0.4 | 0 | 0.6 | -0.1 | 0.5 | -1.2 | 0.1 | -0.6 | -0.1 | -0.7 | -0.3 | -1.8 |
| 2006 | -0.7 | 0.7 | 1.2 | -1.5 | 0.1 | -0.3 | -0.4 | 0.3 | 0.7 | 1 | 0.9 | -0.6 | 1.2 |
| 2007 | -0.8 | 0 | 0.3 | 0.4 | -0.6 | 1 | 1.1 | 0.2 | 0.4 | -1.2 | 1.8 | 1 | 3.6 |
| 2008 | 0.3 | -0.9 | 1.1 | 0.2 | -0.2 | 0.2 | 0.3 | 0 | -0.4 | 0.7 | -0.9 | -1.3 | -0.9 |
| 2009 | -0.8 | 0.2 | -0.4 | 0.1 | 0.2 | 1 | 0.2 | 0.2 | 0.8 | 0.2 | -0.7 | -0.8 | 0.2 |
| 2010 | 0.4 | -0.4 | -0.8 | -1.2 | 0 | -0.4 | -0.1 | 1.7 | -1 | -0.3 | -2 | 1.1 | -3.1 |
| 2011 | -0.2 | 0.2 | 0.5 | 0.4 | 0.4 | 0.7 | 0.5 | 0 | -0.8 | 0.8 | 0.8 | 1.4 | 4.9 |
| 2012 | 1.1 | -1.1 | -0.4 | 0.2 | -0.4 | 0 | -0.6 | 0.1 | -0.3 | 0.7 | -0.6 | 0.3 | -1.1 |
| 2013 | 0.7 | -0.5 | -0.3 | -1 | -0.7 | -1.8 | -0.3 | -1.3 | 0 | -1.1 | -0.8 | 1 | -5.9 |
| 2014 | 0.6 | -1.6 | -0.1 | 0.1 | -0.6 | -0.3 | 0.4 | -0.6 | 0.6 | 0.1 | 0 | 0 | -1.5 |
| 2015 | 1 | 0 | -0.3 | -1.3 | 0.4 | 0.7 | 3.6 | -0.1 | 1.2 | -0.6 | 0.1 | -0.1 | 4.7 |
| 2016 | 0.7 | 1 | 0.8 | 0.3 | 1.2 | 0 | 0.2 | -0.5 | -0.4 | -0.7 | -0.2 | -0.1 | 2.2 |
| 2017 | -0.2 | -0.2 | 0.6 | -0.5 | 0.2 | 0.2 | 0.5 | -0.5 | 0.6 | -0.2 | -0.2 | 0.1 | 0.4 |
| 2018 | -0.6 | -0.2 | 0.2 | -0.5 | -0.1 | -0.3 | 0 | 0.1 | -0.4 | 0.3 | -0.2 | 0.7 | -0.9 |
| 2019 | -0.2 | 0.1 | -2.8 | -0.1 | 0.1 | 0 | 0.7 | 0 | -0.3 | 0.3 | -0.1 | 0.3 | -1.9 |
| 2020 | 0.1 | -1.5 | -4 | 0.7 | 1 | 0.8 | 0.2 | -0.3 | 0.4 | -0.3 | 0.7 | -0.1 | -2.3 |
| 2021 | 0.1 | 0.7 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.5 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-09-25 15 SPY 84.4 0.0248 -0.0299 -0.114 -0.137 -0.171 -0.355 NA <NA> NA NA NA
2 2002-09-26 15.0 SPY 85.7 0.0164 0.0122 -0.0895 -0.138 -0.154 -0.344 NA <NA> NA NA NA
3 2002-09-27 15.0 SPY 82.8 -0.0348 -0.019 -0.102 -0.164 -0.191 -0.353 NA <NA> NA NA NA
4 2002-09-30 15.0 SPY 81.8 -0.0116 -0.0224 -0.112 -0.157 -0.217 -0.360 NA <NA> NA NA NA
5 2002-10-01 15 SPY 85.7 0.048 0.0414 -0.066 -0.0974 -0.178 -0.333 NA <NA> NA NA NA
6 2002-10-02 15 SPY 83.2 -0.03 -0.0142 -0.0581 -0.129 -0.212 -0.352 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>